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1、INVESTMENTS | BODIE, KANE, MARCUSCopyright 2011 by The McGraw-Hill Companies, Inc. All rights reserved.McGraw-Hill/IrwinCHAPTER 11The Efficient Market HypothesisINVESTMENTS | BODIE, KANE, MARCUS11-2 Maurice Kendall (1953) found no predictable pattern in stock prices. Prices are as likely to go up as

2、 to go down on any particular day. How do we explain random stock price changes?Efficient Market Hypothesis (EMH)INVESTMENTS | BODIE, KANE, MARCUS11-3Efficient Market Hypothesis (EMH) EMH says stock prices already reflect all available information A forecast about favorable future performance leads

3、to favorable current performance, as market participants rush to trade on new information. Result: Prices change until expected returns are exactly commensurate with risk.INVESTMENTS | BODIE, KANE, MARCUS11-4Efficient Market Hypothesis (EMH) New information is unpredictable; if it could be predicted

4、, then the prediction would be part of todays information. Stock prices that change in response to new (unpredictable) information also must move unpredictably. Stock price changes follow a random walk.INVESTMENTS | BODIE, KANE, MARCUS11-5Figure 11.1 Cumulative Abnormal Returns Before Takeover Attem

5、pts: Target CompaniesINVESTMENTS | BODIE, KANE, MARCUS11-6Figure 11.2 Stock Price Reaction to CNBC ReportsINVESTMENTS | BODIE, KANE, MARCUS11-7 Information: The most precious commodity on Wall Street Strong competition assures prices reflect information. Information-gathering is motivated by desire

6、for higher investment returns. The marginal return on research activity may be so small that only managers of the largest portfolios will find them worth pursuing.EMH and CompetitionINVESTMENTS | BODIE, KANE, MARCUS11-8 Weak Semi-strong StrongVersions of the EMHINVESTMENTS | BODIE, KANE, MARCUS11-9

7、Technical Analysis - using prices and volume information to predict future pricesSuccess depends on a sluggish response of stock prices to fundamental supply-and-demand factors.Weak form efficiency Relative strength Resistance levelsTypes of Stock AnalysisINVESTMENTS | BODIE, KANE, MARCUS11-10Types

8、of Stock Analysis Fundamental Analysis - using economic and accounting information to predict stock prices Try to find firms that are better than everyone elses estimate. Try to find poorly run firms that are not as bad as the market thinks.Semi strong form efficiency and fundamental analysisINVESTM

9、ENTS | BODIE, KANE, MARCUS11-11 Active Management An expensive strategy Suitable only for very large portfolios Passive Management: No attempt to outsmart the market Accept EMH Index Funds and ETFs Very low costsActive or Passive ManagementINVESTMENTS | BODIE, KANE, MARCUS11-12Even if the market is

10、efficient a role exists for portfolio management:DiversificationAppropriate risk levelTax considerationsMarket Efficiency & Portfolio ManagementINVESTMENTS | BODIE, KANE, MARCUS11-13Resource Allocation If markets were inefficient, resources would be systematically misallocated. Firm with overval

11、ued securities can raise capital too cheaply. Firm with undervalued securities may have to pass up profitable opportunities because cost of capital is too high. Efficient market perfect foresight market INVESTMENTS | BODIE, KANE, MARCUS11-14 Empirical financial research enables us to assess the impa

12、ct of a particular event on a firms stock price. The abnormal return due to the event is the difference between the stocks actual return and a proxy for the stocks return in the absence of the event.Event StudiesINVESTMENTS | BODIE, KANE, MARCUS11-15Returns are adjusted to determine if they are abno

13、rmal.Market Model approach:a. rt = a + brmt + et(Expected Return)b. Excess Return = (Actual - Expected)et = rt - (a + brMt)How Tests Are StructuredINVESTMENTS | BODIE, KANE, MARCUS11-16 Magnitude Issue Only managers of large portfolios can earn enough trading profits to make the exploitation of mino

14、r mispricing worth the effort. Selection Bias Issue Only unsuccessful investment schemes are made public; good schemes remain private. Lucky Event IssueAre Markets Efficient?INVESTMENTS | BODIE, KANE, MARCUS11-17Weak-Form Tests Returns over the Short HorizonMomentum: Good or bad recent performance c

15、ontinues over short to intermediate time horizons Returns over Long HorizonsEpisodes of overshooting followed by correctionINVESTMENTS | BODIE, KANE, MARCUS11-18Predictors of Broad Market Returns Fama and FrenchAggregate returns are higher with higher dividend ratios Campbell and ShillerEarnings yie

16、ld can predict market returns Keim and StambaughBond spreads can predict market returnsINVESTMENTS | BODIE, KANE, MARCUS11-19 P/E Effect Small Firm Effect (January Effect) Neglected Firm Effect and Liquidity Effects Book-to-Market Ratios Post-Earnings Announcement Price DriftSemistrong Tests: Anomal

17、iesINVESTMENTS | BODIE, KANE, MARCUS11-20Figure 11.3 Average Annual Return for 10 Size-Based Portfolios, 1926 2008INVESTMENTS | BODIE, KANE, MARCUS11-21Figure 11.4 Average Return as a Function of Book-To-Market Ratio, 19262008INVESTMENTS | BODIE, KANE, MARCUS11-22Figure 11.5 Cumulative Abnormal Retu

18、rns in Response to Earnings AnnouncementsINVESTMENTS | BODIE, KANE, MARCUS11-23Strong-Form Tests: Inside Information The ability of insiders to trade profitability in their own stock has been documented in studies by Jaffe, Seyhun, Givoly, and Palmon SEC requires all insiders to register their tradi

19、ng activityINVESTMENTS | BODIE, KANE, MARCUS11-24Interpreting the AnomaliesThe most puzzling anomalies are price-earnings, small-firm, market-to-book, momentum, and long-term reversal.Fama and French argue that these effects can be explained by risk premiums.Lakonishok, Shleifer, and Vishney argue t

20、hat these effects are evidence of inefficient markets.INVESTMENTS | BODIE, KANE, MARCUS11-25Figure 11.6 Returns to Style Portfolio as a Predictor of GDP Growth INVESTMENTS | BODIE, KANE, MARCUS11-26Interpreting the Evidence Anomalies or data mining?Some anomalies have disappeared.Book-to-market, siz

21、e, and momentum may be real anomalies.INVESTMENTS | BODIE, KANE, MARCUS11-27Interpreting the Evidence Bubbles and market efficiencyPrices appear to differ from intrinsic values.Rapid run up followed by crashBubbles are difficult to predict and exploit.INVESTMENTS | BODIE, KANE, MARCUS11-28Stock Mark

22、et Analysts Some analysts may add value, but:Difficult to separate effects of new information from changes in investor demandFindings may lead to investing strategies that are too expensive to exploitINVESTMENTS | BODIE, KANE, MARCUS11-29Mutual Fund Performance The conventional performance benchmark

23、 today is a four-factor model, which employs:the three Fama-French factors (the return on the market index, and returns to portfolios based on size and book-to-market ratio) plus a momentum factor (a portfolio constructed based on prior-year stock return).INVESTMENTS | BODIE, KANE, MARCUS11-30Figure 11.7 Estimates of Individual Mutual Fund Alphas, 1993 - 200